Seasonal ARMA/ARIMA models

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Jonny Coltraine
Jonny Coltraine il 22 Feb 2012
Hello,
I am looking for a way to add a seasonal factor in an ARIMA model. For example after looking at the ACF of a return time series which clearly indicates high autocorrelation at equidistant lags(e.g every 12 lags for monthly time series which indicates a yearly seasonal effect).
I looked at the help but couldn't find anything on this. Any suggestions?
Thanks JC

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